This is an adaptation of the Accelerating Dual Momentum tactical asset allocation model which was originally described here.
Some preliminary performance stats:
The rules are as follows:
- This strategy allocates 100% of the portfolio to a single asset each month.
- At the close on the first trading day of the month, calculate a “momentum score” for two asset classes: the S&P 500 (represented by SPY) and small cap equities (VBR), by averaging each asset’s 1, 3 and 6-month total return.
- If the momentum score of SPY > VBR and > 0, go long SPY at the close.
- If the momentum score of VBR > SPY and > 0, go long VBR at the close.
- If neither condition is true, go long either long-term US Treasuries (TLT) or US TIPS (TIP), whichever has the highest 1-month return.
- Hold position until the first trading day of the following month.
Pull requests are welcome. For major changes, please open an issue first to discuss what you would like to change.
If you would like to get in touch, my email is aleksandras.v.liauska@bath.edu.